Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

François Quittard-Pinon and Rivo Randrianarivony ()
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François Quittard-Pinon: EM - EMLyon Business School
Rivo Randrianarivony: NIMEC - Normandie Innovation Marché Entreprise Consommation - UNICAEN - Université de Caen Normandie - NU - Normandie Université - ULH - Université Le Havre Normandie - NU - Normandie Université - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - IRIHS - Institut de Recherche Interdisciplinaire Homme et Société - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université

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Date: 2011-06
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Published in Geneva Risk and Insurance Review, 2011, 36 (1), pp.51-73. ⟨10.1057/grir.2010.5⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02358451

DOI: 10.1057/grir.2010.5

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